In mathematics, Gaussian measure is a Borel measure on finite-dimensional Euclidean space Rn, closely related to the normal distribution in statistics. There is also a generalization to infinite-dimensional spaces. Gaussian measures are named after the German mathematician Carl Friedrich Gauss. One reason why Gaussian measures are so ubiquitous in probability theory is the Central Limit Theorem. Loosely speaking, it states that if a random variable X is obtained by summing a large number N of independent random variables of order 1, then X is of order and its law is approximately Gaussian.
Read more about Gaussian Measure: Definitions, Properties of Gaussian Measure, Gaussian Measures On Infinite-dimensional Spaces
Famous quotes containing the word measure:
“This entire most beautiful order of good things is going to pass away after its measure has been exhausted; for both morning and evening were made in them.”
—St. Augustine (354–430)